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The contagion channels of July–August-2011 stock market crash: A DAG-copula based approach
16 references·12 citing·45 second hop
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References

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  • 2002A Rational Expectations Model of Financial Contagion1,080 cited
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  • 2001Contagion as a Wealth Effect926 cited
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  • 2012Measuring contagion between energy market and stock market during financial crisis: A copula approach273 cited
  • 2013A time-varying copula approach to oil and stock market dependence: The case of transition economies229 cited
  • 2012The structure and degree of dependence: A quantile regression approach

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210 cited
  • 2013Stock market reaction to fed funds rate surprises: State dependence and the financial crisis123 cited
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    • 2021Stagpression: The Economic and Financial Impact of the COVID-19 Pandemic69 cited
    • 2017Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?48 cited
    • 2018Strategic fire-sales and price-mediated contagion in the banking system44 cited
    • 2017Financial contagion: review of empirical literature37 cited
    • 2016Time-varying quantile association regression model with applications to financial contagion and VaR31 cited
    • 2022Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics28 cited
    • 2022The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic28 cited
    • 2019Forecasting the Chinese stock volatility across global stock markets27 cited
    • 2021From dotcom to Covid-19: A convergence analysis of Islamic investments26 cited
    • 2023Investigating the dynamics of crisis transmission channels: A comparative analysis23 cited
    • 2019Copula theory and probabilistic sensitivity analysis: Is there a connection?21 cited
    • 2022Risk reporting: do country-level institutional forces really matter?16 cited